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A tale of four tails : inflation, the policy rate, longer-term rates, and stock prices
Anene, Dominic; D'Amico, Stefania - 2017
We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...
Persistent link: https://www.econbiz.de/10011774934
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Using intraday data to gauge financial market responses to Fed and ECB monetary policy decisions
Andersson, Magnus - 2007
This paper examines bond and stock market volatility reactions in the euro area and the US following their respective economies’ monetary policy decisions, over a uniform sample period (April 1999 to May 2006). For this purpose, intraday data on the US and euro area bond and stock markets are...
Persistent link: https://www.econbiz.de/10011604772
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A tale of four tails: Inflation, the policy rate, longer-term rates, and stock prices
Anene, Dominic; D'Amico, Stefania - 2017
We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...
Persistent link: https://www.econbiz.de/10012030329
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The Effectiveness of Unconventional Monetary Policy : The Term Auction Facility
Thornton, Daniel L. - 2010
This paper investigates the effectiveness of one of the Fed's unconventional monetary policy tools, the term auction facility (TAF). At issue is whether the TAF reduced the spread between LIBOR rates and equivalent-term Treasury rates by reducing the liquidity premium embedded in LIBOR rates....
Persistent link: https://www.econbiz.de/10013136572
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Market-stabilization QE
Motto, Roberto; Özen, Kadir - 2022
We identify a novel dimension of monetary policy from high-frequency changes in asset prices around ECB policy events, orthogonal to surprises extracted from risk-free interest rates. We find that it is present in policy events that were interpreted by real-time market commentaries as containing...
Persistent link: https://www.econbiz.de/10012818740
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Monetary Policy Uncertainty and the Market Reaction to Macroeconomic News
Kurov, Alexander - 2017
We examine whether monetary policy uncertainty influences the reaction of the equity, Treasury security, foreign exchange and crude oil markets, as well as medium-term interest rates, to U.S macroeconomic announcements. Using intraday futures data, we show that in the presence of higher policy...
Persistent link: https://www.econbiz.de/10012969346
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Financial Markets Effects of ECB Unconventional Monetary Policy Announcements
Bulligan, Guido - 2018
-varying effects possibly due to different market conditions, policy instruments and communication strategies. We find that the …
Persistent link: https://www.econbiz.de/10012921956
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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10011940034
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Should the Fed regularly evaluate its monetary policy framework?
Fuhrer, Jeffrey C.; Olivei, Giovanni P.; Rosengren, Eric S. - 2018 - This version: October, 2018
Would a more open and regular evaluation of the monetary policy framework improve policy in the United States? Even when considering a relatively short timeframe that spans the 1960s to the present, it is possible to point to many significant changes to the framework. Some of the changes were...
Persistent link: https://www.econbiz.de/10011937172
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The diminishing impact of monetary policy on asset prices around non-FOMC macroeconomic announcements
Alam, Zohair - 2021
I examine the effects of monetary policy surprises on asset prices around non-FOMC macroeconomic announcements that are … directly relevant to the Fed's monetary policy decisions. While FOMC announcements are known to have similar effects during … periods of conventional and unconventional monetary policies, I show that non-FOMC announcements affect asset prices much less …
Persistent link: https://www.econbiz.de/10012595426